Risk concentration based on Expectiles for extreme risks under FGM copula

Tiantian Mao and Fan Yang

Insurance: Mathematics and Economics, 2015, vol. 64, issue C, 429-439

Abstract: Risk concentration is used as a measurement of diversification benefits in the context of risk aggregation. Expectiles, which are known to possess many good properties, have attracted increasing interest in recent years. In this paper, we aim to study the asymptotic properties of risk concentration based on Expectiles. Firstly, we extend the results on the second-order asymptotics of Expectiles in Mao et al. (2015). Secondly, we investigate the second-order asymptotics of tail probabilities and then apply them to risk concentrations based on Expectiles as well as on VaR.

Keywords: Expectiles; FGM copula; Regular variation; Second-order regular variation; Value-at-Risk (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:64:y:2015:i:c:p:429-439

DOI: 10.1016/j.insmatheco.2015.06.009

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